Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

DOI10.2202/1558-3708.1434zbMATH Open1260.91186OpenAlexW3121375642MaRDI QIDQ5452763FDOQ5452763

Authors: Jun Ma, Charles R. Nelson, Richard Startz 

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1773/15537

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Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (9)

• The zero-information-limit condition and spurious inference in weakly identified models
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• Efficient estimation of copula-GARCH models
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model
• Calibration of GARCH models using concurrent accelerated random search
• Flexible Fourier form for volatility breaks
• Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics
• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation

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